Estimation of future discretionary benefits in traditional life insurance

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<title>Estimation of future discretionary benefits in traditional life insurance</title>
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<namePart>Gach, Florian</namePart>
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<abstract displayLabel="Summary">In the context of life insurance with profit participation, the future discretionary benefits (FDB), which are a central item for Solvency II reporting, are generally calculated by computationally expensive Monte Carlo algorithms. We derive analytic formulas to estimate lower and upper bounds for the FDB. This yields an estimation interval for the FDB, and the average of lower and upper bound is a simple estimator. These formulae are designed for real world applications, and we compare the results to publicly available reporting data.

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<note type="statement of responsibility">Florian Gach</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080570590">
<topic>Seguro de vida</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080564254">
<topic>Solvencia II</topic>
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<topic>Cálculo actuarial</topic>
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<classification authority="">6</classification>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
<part>
<text>05/09/2022 Volumen 52 Número 3 - septiembre 2022 , p. 835-876</text>
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